Finance with Monte Carlo (Springer Undergraduate Texts in

Finance with Monte Carlo (Springer Undergraduate Texts in Mathematics and Technology)

This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications.The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methods allows for students to travel a short road from theory to practical applications. Coverage includes investment science, mean-variance portfolio theory, option pricing principles, exotic options, option trading strategies, jump diffusion and exponential LÃ©vy alternative models, and the Kelly criterion for maximizing investment growth.Novel features:inclusion of both portfolio theory and contingent claim analysis in a single textpricing methodology for exotic optionsexpectation analysis of option trading strategiespricing models that transcend the Blackâ€“Scholes frameworkoptimizing investment allocationsconcepts thoroughly explored through numerous simulation exercisesnumerous worked examples and illustrationsThe mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. Also by the author: (with F. Mendivil) Explorations in Monte Carlo, Â©2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, Â©2009, ISBN: 978-0-387-70983-3.

Country	USA
Author	Ronald W. Shonkwiler
Binding	Kindle Edition
Edition	1
EISBN	9781461485117
Format	Kindle eBook
Label	Springer New York
Manufacturer	Springer New York
NumberOfPages	250
PublicationDate	2013-09-17
Publisher	Springer New York
ReleaseDate	2013-09-17
Studio	Springer New York

Finance with Monte Carlo (Springer Undergraduate Texts in Mathematics and Technology)

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